AA Options History — October 2008 In October 2008, AA traded between $21.72 and $51.11. ATM implied volatility averaged 112.7%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded below realized volatility by 5.5% (HV 20d: 118.2%). Max pain ranged from $30.04 to $78.10. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.26.
Notable Days 2008-10-14 : Highest Volume — 65,247 contracts2008-10-06 : Largest IV spike — 49.2% change2008-10-02 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 35.7%Monthly Statistics Metric Avg Min Max Open Close Price $31.73 $21.72 $51.11 $51.11 $27.63 Max Pain $50.15 $30.04 $78.10 $78.10 $30.04 ATM IV 112.7% 79.7% 172.8% 90.5% 87.6% Expected Move 28.7% 22.9% 35.7% 25.9% 25.1% HV 20d 118.2% 63.3% 157.7% 63.3% 157.6% HV 60d 79.3% 50.6% 100.3% 52.0% 100.3% IV Rank 66.1% 33.9% 100.0% 90.6% 39.5% IV Percentile 97.2% 91.7% 100.0% 99.6% 91.7% Term Structure -10.9% -28.5% -1.1% -24.0% -1.1% VWIV 99.7% 79.2% 125.3% 90.8% 91.9% Skew 25d 13.9% 4.8% 23.4% 4.8% 10.9% Skew 10d 23.6% 2.7% 37.5% 2.7% 26.8% Call IV 25d 94.7% 75.6% 121.4% 89.1% 88.9% Put IV 25d 108.6% 85.9% 136.3% 93.8% 99.8% Bid-Ask Spread % 6.25 2.49 13.56 2.49 5.36 Gamma HHI 0.10 0.07 0.18 0.11 0.18 Net GEX 13.7K -1.1M 436.2K -1.1M 436.2K Net DEX 291.4M 201.4M 462.8M 462.8M 218.6M Net VEX -664.7K -1.3M -384.7K -1.3M -573.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.21 9.29 0.37 0.49 Total Volume 15,593.261 4,058 65,247 9,528 4,058 Total OI 341,490.348 269,308 381,858 357,930 324,283
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-10-01 $51.11 $78.10 90.5% 25.9% 63.3% 90.6% 90.8% 4.8% -24.0% -1.1M 462.8M -1.3M 0.37 2.49 N/A N/A 6,934 2,594 235,559 122,371 2008-10-02 $46.57 $78.10 110.3% 31.6% 68.4% 100.0% 110.4% 6.4% -28.5% -277.8K 405.8M -1.3M 0.66 5.32 N/A N/A 4,566 2,991 237,950 120,127 2008-10-03 $46.23 $78.10 97.2% 27.9% 68.4% 83.2% 96.3% 11.2% -20.9% -333.9K 426.9M -1.2M 0.24 3.38 N/A N/A 6,146 1,456 240,714 122,528 2008-10-06 $43.52 $60.08 145.0% 27.0% 69.9% 100.0% 88.8% 17.9% -14.1% -182.1K 401.3M -1.1M 0.86 11.50 N/A N/A 5,714 4,891 245,081 122,308 2008-10-07 $40.15 $60.08 140.8% 26.9% 73.1% 96.3% 93.1% 8.6% -13.2% -146.8K 382.5M -960.7K 4.37 8.33 N/A N/A 9,975 43,593 243,690 121,046 2008-10-08 $35.35 $60.08 121.1% 27.2% 80.3% 78.9% 95.3% 16.3% -12.9% -70.9K 353.0M -713.8K 1.47 13.56 N/A N/A 12,211 17,910 247,664 118,811 2008-10-09 $29.94 $60.08 135.8% 31.9% 91.5% 91.8% 104.8% 17.6% -18.0% 28.0K 299.7M -614.1K 1.04 9.87 N/A N/A 4,447 4,632 251,245 119,698 2008-10-10 $27.03 $54.07 172.8% 35.7% 89.3% 100.0% 117.9% 16.5% -20.0% 43.4K 271.0M -560.6K 0.76 8.70 N/A N/A 8,180 6,176 252,660 119,806 2008-10-13 $33.21 $54.07 115.1% 25.0% 126.2% 59.0% 90.8% 15.2% -4.9% 103.8K 323.4M -614.8K 0.48 6.47 N/A N/A 5,476 2,614 256,099 120,030 2008-10-14 $31.21 $54.07 115.9% 26.4% 126.4% 59.6% 91.8% 14.2% -9.2% 117.6K 317.2M -476.8K 9.29 7.29 N/A N/A 6,342 58,905 256,693 119,599 2008-10-15 $27.23 $48.06 145.1% 29.5% 131.3% 80.3% 103.6% 10.1% -10.7% 69.3K 280.0M -439.3K 1.17 6.61 N/A N/A 3,316 3,891 260,181 119,929 2008-10-16 $29.34 $48.06 102.9% 29.5% 135.6% 50.4% 104.3% 16.0% -9.6% 122.6K 285.1M -479.4K 0.71 5.45 N/A N/A 7,116 5,027 259,162 117,720 2008-10-17 $28.36 $48.06 96.6% 27.7% 132.8% 45.9% 96.9% 12.5% -7.3% 78.9K 275.0M -511.0K 0.75 9.35 N/A N/A 5,979 4,502 262,806 119,052 2008-10-20 $29.82 $42.05 80.3% 23.0% 136.1% 34.3% 79.2% 13.7% -4.3% 91.3K 224.7M -490.2K 2.72 4.39 N/A N/A 5,114 13,896 172,573 96,735 2008-10-21 $29.20 $42.05 79.7% 22.9% 136.2% 33.9% 80.8% 9.4% -4.1% 109.0K 261.0M -419.1K 0.54 4.58 N/A N/A 3,841 2,091 175,353 109,803 2008-10-22 $25.28 $42.05 104.8% 30.0% 140.4% 51.7% 102.6% 23.4% -2.8% 66.4K 234.8M -384.7K 0.79 6.63 N/A N/A 12,185 9,610 176,468 111,149 2008-10-23 $24.01 $48.06 102.3% 29.3% 140.3% 49.9% 104.0% 16.0% -2.3% 100.0K 224.3M -457.0K 0.72 3.62 N/A N/A 8,664 6,238 184,623 117,986 2008-10-24 $22.61 $36.05 123.8% 35.5% 140.3% 65.2% 125.3% 14.9% -12.4% 97.3K 201.4M -505.2K 0.43 4.32 N/A N/A 6,388 2,724 188,559 118,804 2008-10-27 $21.72 $36.05 117.0% 33.5% 139.1% 60.3% 121.3% 14.6% -11.3% 97.3K 201.5M -413.6K 0.22 2.90 N/A N/A 8,085 1,783 191,959 119,799 2008-10-28 $25.90 $36.05 108.5% 31.1% 156.0% 54.3% 105.9% 21.4% -8.9% 200.8K 217.9M -513.2K 0.35 4.48 N/A N/A 5,599 1,939 195,991 119,589 2008-10-29 $26.79 $30.04 106.0% 30.4% 157.7% 52.5% 100.9% 14.2% -7.6% 306.5K 217.5M -562.1K 0.33 4.64 N/A N/A 7,670 2,563 198,115 119,978 2008-10-30 $27.51 $30.04 92.5% 26.5% 157.3% 42.9% 95.8% 13.6% -1.9% 343.3K 216.7M -601.7K 0.21 4.55 N/A N/A 8,763 1,850 199,439 120,543 2008-10-31 $27.63 $30.04 87.6% 25.1% 157.6% 39.5% 91.9% 10.9% -1.1% 436.2K 218.6M -573.0K 0.49 5.36 N/A N/A 2,720 1,338 203,462 120,821
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